Details
Reverse Stress Testing in Banking
A Comprehensive GuideISSN, Band 2 1. Aufl.
CHF 70.30 |
|
Verlag: | De Gruyter |
Format: | EPUB |
Veröffentl.: | 10.05.2021 |
ISBN/EAN: | 9783110644951 |
Sprache: | englisch |
Anzahl Seiten: | 583 |
DRM-geschütztes eBook, Sie benötigen z.B. Adobe Digital Editions und eine Adobe ID zum Lesen.
Beschreibungen
<p>Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. </p>
<p></p>
<p><em>Reverse Stress Testing in Banking</em> features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: </p>
<p></p>
<ul>
<p></p>
<li>Regulatory requirements and ways to address them </li>
<p></p>
<p></p>
<li>Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system </li>
<p></p>
<p></p>
<li>The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses </li>
<p></p>
<p></p>
<li>Opportunities to co-integrate reverse stress testing with recovery and resolution planning </li>
<p></p>
<p></p>
<li>Governance and processes for board members and C-suite executives </li>
<p></p>
</ul>
<p></p>
<p>Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book. </p>
<p></p>
<p><em>Reverse Stress Testing in Banking</em> features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: </p>
<p></p>
<ul>
<p></p>
<li>Regulatory requirements and ways to address them </li>
<p></p>
<p></p>
<li>Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system </li>
<p></p>
<p></p>
<li>The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses </li>
<p></p>
<p></p>
<li>Opportunities to co-integrate reverse stress testing with recovery and resolution planning </li>
<p></p>
<p></p>
<li>Governance and processes for board members and C-suite executives </li>
<p></p>
</ul>
<p></p>
<p>Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book. </p>
<p>FOREWORD BY PROF. MOORAD CHOUDHRY </p>
<p>CHAPTER I<strong>: </strong>What is Reverse Stress Testing (and how does it differ from other risk analytics)? </p>
<ul>
<p></p>
<li>Definition </li>
<p></p>
<p></p>
<li>What is it and why to use it </li>
<p></p>
<p></p>
<li>Overview of reverse stress testing landscape so far (Tiziano Bellini, Michael Eichhorn) </li>
<p></p>
</ul>
<p></p>
<strong></strong>
<p>CHAPTER II: How to perform Reverse Stress Testing </p>
<ul>
<p></p>
<li>A generic process driven approach (Michael Eichhorn, Philippe Mangold) </li>
<p></p>
<ul>
<p></p>
<li>Definition of failure points </li>
<p></p>
<p></p>
<li>Vulnerability analysis </li>
<p></p>
<p></p>
<li>Scenario design and parameterization </li>
<p></p>
<p></p>
<li>Plausibility check and management actions </li>
<p></p>
<p></p>
<li>Monitoring and reporting </li>
<p></p>
</ul>
</ul>
<p></p>
<strong></strong>
<p>CHAPTER III: What are the regulatory requirements? </p>
<ul>
<p></p>
<li>Regulatory requirements and considerations from a Board of Directors’ perspective (Melanie Eichhorn-Schurig) </li>
<p></p>
<ul>
<p></p>
<li>Requirements by regulator and supervisory body (BCBS, EBA, FED, PRA) </li>
<p></p>
<p></p>
<li>Considerations from Boards’ perspective </li>
<p></p>
</ul>
</ul>
<p></p>
<strong></strong>
<p>CHAPTER IV: What can be learned from past failures? </p>
<ul>
<p></p>
<li>Why do banks fail? (TBC) </li>
<p></p>
<p></p>
<li>What went wrong in the 2007-2009 crisis? (Tiziano Bellini) </li>
<p></p>
<p></p>
<li>Roads to ruin – A study of major risk events (Prof. Chris Parsons, TBC) </li>
<p></p>
</ul>
<p></p>
<strong></strong>
<p>CHAPTER V: What can be learned from practical use cases? </p>
<ul>
<p></p>
<li>Qualitative reverse stress testing </li>
<p></p>
<ul>
<p></p>
<li>Case study: Pension Protection Fund (Jean-Pierre Charmille) </li>
<p></p>
<p></p>
<li>Case study: Moody’s Rating Agency (TBC) </li>
<p></p>
<p></p>
<li>Case study: Automotive (Grundke, TBC) </li>
<p></p>
</ul>
</ul>
<p></p>
<ul>
<p></p>
<li>Quantitative reverse stress testing </li>
<p></p>
<ul>
<p></p>
<li>Case study: Alpha Bank (Tiziano Bellini) </li>
<p></p>
<p></p>
<li>Case study: Interbank Networks (Fabio Caccioli) </li>
<p></p>
<p></p>
<li>Case study: Axioma Inc (Robert Stamicar) </li>
<p></p>
<p></p>
<li>Case study: EVM Tech (Mirzai, Bahram) </li>
<p></p>
</ul>
</ul>
<strong></strong>
<p></p>
<p>CHAPTER VI: What can be learned from planning work? </p>
<ul>
<p></p>
<li>Linking Reverse Stress Testing to Risk Appetite and Risk Capacity (Anand Saxena) </li>
<p></p>
<p></p>
<li>Linking Reverse Stress Testing to Recovery & Resolution Planning (Ahmed Nasir) </li>
<p></p>
</ul>
<p>CHAPTER I<strong>: </strong>What is Reverse Stress Testing (and how does it differ from other risk analytics)? </p>
<ul>
<p></p>
<li>Definition </li>
<p></p>
<p></p>
<li>What is it and why to use it </li>
<p></p>
<p></p>
<li>Overview of reverse stress testing landscape so far (Tiziano Bellini, Michael Eichhorn) </li>
<p></p>
</ul>
<p></p>
<strong></strong>
<p>CHAPTER II: How to perform Reverse Stress Testing </p>
<ul>
<p></p>
<li>A generic process driven approach (Michael Eichhorn, Philippe Mangold) </li>
<p></p>
<ul>
<p></p>
<li>Definition of failure points </li>
<p></p>
<p></p>
<li>Vulnerability analysis </li>
<p></p>
<p></p>
<li>Scenario design and parameterization </li>
<p></p>
<p></p>
<li>Plausibility check and management actions </li>
<p></p>
<p></p>
<li>Monitoring and reporting </li>
<p></p>
</ul>
</ul>
<p></p>
<strong></strong>
<p>CHAPTER III: What are the regulatory requirements? </p>
<ul>
<p></p>
<li>Regulatory requirements and considerations from a Board of Directors’ perspective (Melanie Eichhorn-Schurig) </li>
<p></p>
<ul>
<p></p>
<li>Requirements by regulator and supervisory body (BCBS, EBA, FED, PRA) </li>
<p></p>
<p></p>
<li>Considerations from Boards’ perspective </li>
<p></p>
</ul>
</ul>
<p></p>
<strong></strong>
<p>CHAPTER IV: What can be learned from past failures? </p>
<ul>
<p></p>
<li>Why do banks fail? (TBC) </li>
<p></p>
<p></p>
<li>What went wrong in the 2007-2009 crisis? (Tiziano Bellini) </li>
<p></p>
<p></p>
<li>Roads to ruin – A study of major risk events (Prof. Chris Parsons, TBC) </li>
<p></p>
</ul>
<p></p>
<strong></strong>
<p>CHAPTER V: What can be learned from practical use cases? </p>
<ul>
<p></p>
<li>Qualitative reverse stress testing </li>
<p></p>
<ul>
<p></p>
<li>Case study: Pension Protection Fund (Jean-Pierre Charmille) </li>
<p></p>
<p></p>
<li>Case study: Moody’s Rating Agency (TBC) </li>
<p></p>
<p></p>
<li>Case study: Automotive (Grundke, TBC) </li>
<p></p>
</ul>
</ul>
<p></p>
<ul>
<p></p>
<li>Quantitative reverse stress testing </li>
<p></p>
<ul>
<p></p>
<li>Case study: Alpha Bank (Tiziano Bellini) </li>
<p></p>
<p></p>
<li>Case study: Interbank Networks (Fabio Caccioli) </li>
<p></p>
<p></p>
<li>Case study: Axioma Inc (Robert Stamicar) </li>
<p></p>
<p></p>
<li>Case study: EVM Tech (Mirzai, Bahram) </li>
<p></p>
</ul>
</ul>
<strong></strong>
<p></p>
<p>CHAPTER VI: What can be learned from planning work? </p>
<ul>
<p></p>
<li>Linking Reverse Stress Testing to Risk Appetite and Risk Capacity (Anand Saxena) </li>
<p></p>
<p></p>
<li>Linking Reverse Stress Testing to Recovery & Resolution Planning (Ahmed Nasir) </li>
<p></p>
</ul>
<p><strong>M. Eichhorn</strong>, Managing Director, Credit Suisse; <strong>T. Bellini</strong>, Director, Blackrock; <strong>D. Mayenberger</strong>, trading, banking and investment expert </p>
Diese Produkte könnten Sie auch interessieren:
Strategisches Management und Digitalisierung. Portierung digitaler Geschäftsmodelle
von: Marcel Micheel
CHF 6.00
Frauen im B2B-Vertrieb in Österreich. Chancen und Herausforderungen des digitalen Wandels für die Vertriebstätigkeit
von: Manuela Jandl
CHF 38.00